Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 14 14 14
Score 3.5 3.07 3.03
Market Cap (Millions USD) 21586.81 21201.08 21456.26
Predicted Beta 3.5 3.5 3.47
Idiosyncratic Volatility 3.66 3.84 3.93

Annualized return and volatility

DIA
Annualized Return 0.0699
Annualized Std Dev 0.1788
Annualized Sharpe (Rf=0%) 0.3907

Row

Daily Return Statistics

DIA
Observations 5112.0000
NAs 2.0000
Minimum -0.0939
Quartile 1 -0.0043
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0054
Maximum 0.1356
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0113
Skewness 0.3581
Kurtosis 13.3410

Downside Risk

DIA
Semi Deviation 0.0080
Gain Deviation 0.0084
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.5187
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0267
Modified VaR (95%) -0.0140
Modified ES (95%) -0.0140
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-01-19 -0.5187 1096 364 732
2000-01-18 2002-10-09 2004-12-21 -0.3503 1261 696 565
2018-10-04 2018-12-24 2019-04-18 -0.1814 137 57 80
2015-05-20 2015-08-25 2016-04-14 -0.1387 231 69 162
2018-01-29 2018-03-23 2018-09-18 -0.1119 165 39 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec DIA
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.7 0.1 0.0 0.5 1.1 0.0 1.0 0.1 0.0 -0.2 -0.6 0.0 2.7
2001 1.2 -0.3 0.0 1.7 1.3 0.0 0.2 0.0 0.4 2.0 0.0 0.0 6.6
2002 0.0 2.7 -0.3 1.5 0.0 -1.6 -2.6 0.0 5.3 1.9 0.0 0.0 6.8
2003 0.0 0.0 1.2 -0.3 0.0 0.7 -0.7 0.0 1.8 0.0 1.0 0.0 3.8
2004 0.0 0.8 0.2 0.0 0.0 -1.3 0.0 0.0 1.3 0.3 1.3 0.0 2.5
2005 0.6 0.5 -0.9 0.0 0.7 0.4 -0.4 -0.3 0.0 0.2 0.8 0.0 1.5
2006 1.2 0.5 0.0 -0.5 0.6 0.0 -0.6 0.8 0.0 -0.4 -0.2 0.0 1.4
2007 0.4 -0.2 0.0 0.5 0.2 0.0 0.9 0.0 1.2 -2.2 0.0 0.0 0.8
2008 1.1 0.0 3.0 1.4 0.0 0.3 -0.5 0.0 0.3 0.0 -7.5 0.0 -2.2
2009 0.0 0.0 2.2 0.6 2.3 0.4 0.0 -1.9 -2.0 0.0 1.1 0.0 2.6
2010 1.3 0.7 0.6 0.0 -1.1 -0.4 0.0 2.6 0.4 0.0 2.3 0.0 6.4
2011 1.3 -1.5 0.4 0.0 -2.2 1.4 0.0 -0.9 0.0 -2.5 0.0 0.0 -4.1
2012 0.7 0.2 0.0 0.6 -2.2 0.0 -0.2 0.0 0.5 1.1 0.0 0.0 0.6
2013 1.0 0.3 0.0 -0.9 0.0 0.6 0.7 0.0 0.4 0.4 0.0 0.0 2.5
2014 0.0 0.0 0.4 -0.1 0.0 0.8 -0.4 0.0 -1.4 0.0 -0.3 0.0 -1.1
2015 0.0 0.0 -0.5 1.0 0.2 0.9 0.0 -2.9 -0.1 0.0 0.9 0.0 -0.5
2016 0.0 2.2 0.6 0.0 0.0 0.2 -0.1 0.1 0.0 -0.6 0.3 0.0 2.6
2017 0.1 1.5 0.0 -0.1 0.7 0.0 0.3 0.2 0.0 0.2 -0.2 0.0 2.8
2018 0.1 -1.7 0.0 -0.3 0.9 0.0 -0.4 0.0 0.9 1.0 0.0 0.0 0.4
2019 0.1 0.4 1.3 -0.6 0.0 0.4 -1.0 0.0 -1.4 1.1 0.0 -0.1 0.2

Row

Rolling Performance Chart

Snail Trail Chart